宏观审慎政策的国际协调问题研究--基于我国的DSGE模拟分析

本文在两国模型的DSGE框架下引入宏观审慎政策监管机制,把金融摩擦、国际资本流动和宏观审慎政策纳入同一个一般均衡分析框架。通过国际贸易和国际资本流动机制,考察宏观审慎政策的国际影响机制。基于我国的模拟分析结果表明,第一,对于我国来说,宏观审慎政策的国际合作不仅能够有效地应对国内经济冲击,也有助于抵御外部经济冲击。第二,我国推动构建国际宏观审慎政策长效合作机制,有助于积极应对国际资本流动,促进我国资本市场进一步开放。第三,我国宏观审慎政策存在国际溢出效应,但是对其他国家的影响并不明显。

A Study on International Cooperation on Macroprudential Policy--Based on DSGE Simulation Analysis of China

After the global financial crisis, there is a growing consensus among policymakers that a macroprudential approach to regulation and supervision should be adopted to prevent the occurrence of systemic financial risk. In recent years,the People’s Bank of China establishes and improves the"two-pillar"policy framework, which includes monetary policy and macro-prudential policy. China’s monetary policies will stay focused and targeted to support the real economy and coordinate with macro-prudential policies to mitigate systemic financial risks.The international cooperation on macroprudential policy is of vital importance to safeguard international financial stability.Many Chinese scholars have been very interested in their research regarding the cooperation of monetary policy and macroprudential policy, but seldom focus on the cooperation of macroprudential policy at the international level.This study examines the international cooperation on macro-prudential policy based on a two-country DSGE model,which includes financial friction, international capital flow and macroprudential policy. The paper researches on the influencing mechanism of macroprudential policy based on the international trade channel and international capital flow channel. The policy setting of macroprudential policy in this paper is close to China’s MPA(Macro Prudential Assessment) practice.Three conclusions are drawn by the numerical simulation analysis. Firstly, the macroprudential policy can help us deal with both the domestic and foreign economic shock. Secondly, enhancing international cooperation on macroprudential policy is conductive to the liberalization of capital market. Thirdly, the spillover effects of the macroprudential policy is not significant.This article gives two suggestions. Firstly, the PBOC should improve the framework of macroprudential policy. Secondly,we should strengthen macroprudential policy coordination and uphold international financial stability. This will mitigate the impact of external shocks and create a good environment for the financial openness.